Imprecise Markov Semigroups and their Ergodicity

Abstract: We introduce the concept of an imprecise Markov semigroup $\mathbf{Q}$. It is a tool that allows to represent ambiguity around both the initial and the transition probabilities of a Markov process via a compact collection of Markov semigroups, each associated with a (possibly different) Markov process. We use techniques from set theory, topology, geometry, and probability to study the ergodic behavior of $\mathbf{Q}$. We show that, if the initial distribution of the Markov processes associated with the elements of $\mathbf{Q}$ is known and invariant, under some conditions that also involve the geometry of the state space, eventually the ambiguity around their transition probability fades. We call this property ergodicity of the imprecise Markov semigroup, and we relate it to the classical notion of ergodicity. We prove ergodicity both when the state space is Euclidean or a Riemannian manifold, and when it is an arbitrary measurable space. The importance of our findings for the fields of machine learning and computer vision is also discussed.